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首頁(yè)> 外文期刊>Automatic Control, IEEE Transactions on >Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics
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Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics

機(jī)譯：具有高階耦合資產(chǎn)動(dòng)力學(xué)的多期均值方差投資組合優(yōu)化

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This paper is concerned with a multi-period portfolio management problem over a finite horizon. The objective is to seek the optimal investment policy series which maximizes the weighted sum of a linear combination of the expected return and the variance of portfolio over all the investment periods. This formulation enables the investor to adjust weights for any period and have full freedom and control over their best tradeoff between return and risk over each period. We show that such a problem is a convex quadratic programming problem in terms of the decision variables, regardless of price dynamic nature (either linear or nonlinear cases). By solving the stationary equation directly, an optimal solution is developed for its original problem without using embedding method. The solution is simplified for a general linear price model with high-order and coupled asset dynamics and shown to be implementable with historical price data. Simulation is carried out on USA and China stock markets with real data, which demonstrates feasibility and better performance of the proposed solution than the special case considered in the literature. In particular, the proposed solution with suitable nonzero weights on intermediate time periods offers higher return at the same risk level, compared with one involving the terminal wealth only in the objective function.
機(jī)譯：本文涉及有限期限內(nèi)的多時(shí)期投資組合管理問題。目的是尋求最佳投資政策系列，該系列將在所有投資期間內(nèi)預(yù)期收益和投資組合方差的線性組合的加權(quán)總和最大化。該公式使投資者可以在任何時(shí)期內(nèi)調(diào)整權(quán)重，并在每個(gè)時(shí)期內(nèi)完全自由和控制其在收益和風(fēng)險(xiǎn)之間的最佳權(quán)衡。我們表明，就決策變量而言，無論價(jià)格動(dòng)態(tài)性質(zhì)如何（線性或非線性情況），該問題都是凸二次規(guī)劃問題。通過直接求解平穩(wěn)方程，無需使用嵌入方法即可針對(duì)其原始問題開發(fā)出最優(yōu)解。對(duì)于具有高階和耦合資產(chǎn)動(dòng)力學(xué)的通用線性價(jià)格模型，該解決方案得到了簡(jiǎn)化，并且可以通過歷史價(jià)格數(shù)據(jù)實(shí)現(xiàn)。在美國(guó)和中國(guó)的股票市場(chǎng)上使用真實(shí)數(shù)據(jù)進(jìn)行了仿真，這證明了所提出解決方案的可行性和比文獻(xiàn)中所考慮的特殊情況更好的性能。特別是，與僅在目標(biāo)函數(shù)中涉及最終財(cái)富的方案相比，在中間時(shí)間段具有合適的非零權(quán)重的擬議解決方案在相同的風(fēng)險(xiǎn)水平下提供了更高的收益。

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